Stack Exchange Network

Stack Exchange network consists of 174 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

Questions tagged [commodities]

The tag has no usage guidance.

0
votes
1answer
38 views

Commodity Asian Swaps

I'm trying to find info about asian swaps on oil/energy products and about their pricing methods. However, all I could find are on asian options. Would be glad if you can provide me with some ...
0
votes
2answers
44 views

how to derive the cost of carry formula

Can anyone explain why the cost of carry formula looks like this: $$F_0 = S_0 \cdot e^{(c-y)T}$$ ,where $S_0$ equals the spot price when $T=0$, i.e. today. $c$ denotes the cost of carry and $y$ the ...
-1
votes
0answers
20 views

Price selection for Commodity Pairs Trading

I am trying to model pairs trading on base metals using the one factor spread model. I have a question regarding the prices used in that model. Should i take the spot prices for the commodity futures ...
1
vote
0answers
30 views

Resource to learn about Long / Short Commodities portfolio

As title says, I'm looking to learn more about Commodities trading and how to report and monitor a Long short Portfolio. Can anyone point me to a good book / website where I can improve my knowledge? ...
1
vote
1answer
44 views

Is there any open source library for commodities trading (pricing/risk managment)?

I think the question is no, as commodities trading requires far more exotic payoffs and hence higher variety of code. I know that there is a private company known Allegro, one of the main suppliers ...
1
vote
1answer
49 views

Some questions of precious metal Futures

We always regard precious metal as a FX rate e.g XAU/USD. Is there any concept of spot rate for precious metal? If yes, then we know the dynamic of FX spot rate under risk neutral measure can be ...
0
votes
0answers
75 views

Natural Gas Modelling

In job adverts for natural gas/power trading it states knowledge of supply and demands models for these commodities. Does anyone know of any good papers or primers on S&D modelling?
0
votes
1answer
75 views

How does an exchange guarantee both legs of a calendar spread are executed atomically to give a specific spread?

In commodities/oil you have monthly contracts for a given Future, e.g. on CME the Crude Oil Futures (CL) monthly contracts can be trades, and have Globex codes such as CLZ8(Crude Oil Dec18 Future), ...
0
votes
1answer
45 views

Futures options data [duplicate]

I've been looking into futures options data for my thesis. What are some sources to get futures options data for an affordable price?
0
votes
2answers
124 views

How to calculate correlation between commodities with forward prices?

I'm trying to understand which is the correct way to calculate the correlation between 2 commodities with forward prices. My idea would be first bootstrap forward prices to have only spot prices for ...
0
votes
0answers
29 views

Distribution of data for GBM

I am running some Monte Carlo simulations with GBM on time series of commodity prices. First of all, the price data is annual between 1900-1950. I would firstly like to know if it is bad practice to ...
1
vote
0answers
25 views

Pricing options with 0 or negative underlying values

I am trying to calculate the value of an option whose underlying is the calendar spread between two months for a commodity (front month Brent vs 2nd month), usually known as a calendar spread option. ...
0
votes
0answers
33 views

Black 76, finding current forward price and interest rate for a commodity option

Lets say the commodity in question is gas, flowing everyday for a period of time, and my curve data format is "DataEntryDate, FlowingFrom, FlowingTo". To get the forward price should I find the most ...
0
votes
1answer
130 views

Interpretation of PCA for commodity futures

I've done some PCA analysis of a portfolio consisting of futures on certain commodities. However, I am unsure of how to interpret the output as most of the information found online deals with fixed ...
0
votes
0answers
41 views

Calculating Flat Price Risk for Physical Commodity Trades

I've been reading Craig Pirrongs Economics of Trading Firms published by Trafigura: https://www.trafigura.com/media/1364/economics-commodity-trading-firms.pdf Very informative read. The point I have ...
0
votes
0answers
34 views

How are Risk indices linked to Physical Trading returns?

Ref to my previous question here: Physical trading spot transaction analysis-Quantified I have been able to narrow down my aim to defining a physical trading strategy P&L. My question is, how ...
0
votes
0answers
52 views

Physical trading spot transaction analysis-Quantified

ref to my previous question here: Physical commodity trading quantitative risk return model I am currently new to commodities and physical trading. I have currently narrowed down my area of analysis ...
4
votes
2answers
165 views

Physical commodity trading quantitative risk return model

I am very new to commodities, I was previously in portfolio management/optimization (Black Litterman Markowitz etc). I am now a Buy-Sell analyst for Petrochemicals, and need to understand the basic ...
1
vote
1answer
93 views

How to create a currency independent commodity index

I'm looking for insights on a methodology to create my own bespoke index, specifically a gold index. I'd like to take the price of gold in various currencies, along with the different cross rates ...
0
votes
0answers
22 views

How is this steel price implied based on enterprise value-to-Ebitda?

How was the steel price of $650 per ton calculated based on the forward-looking enterprise value-to-Ebitda in this Bloomberg news article? https://www.bloomberg.com/news/articles/2018-03-23/tariff-...
3
votes
0answers
67 views

Structured Energy Option Pricing

Let's say I have an option with the following terms. This is for an energy product (ie natural gas) The contract will last for 6 months The payoff is the difference between the first of month index ...
2
votes
0answers
115 views

What is a stochastic processes which reasonably captures commodity price dynamics?

I ran into a stumbling block earlier when I tried to price stochastic annuities (see Asian options). This is actually technically an acturial problem, but is well adapted to the techniques of quant ...
0
votes
0answers
49 views

Why is most active futures contract often May?

I was wondering why commodity contracts are often quoted as being "Most Active" in the month of May. In Bloomberg for example there are commodity tickers that only have May. For another example, in ...
0
votes
0answers
38 views

Spot and forward price of commodities on Bloomberg

I'm looking for spot and forward prices of some commodities for research work. However, I have a couple of doubts about it: - There are some commodities that are not available on OTC, for example ...
1
vote
0answers
284 views

bloomberg api: how to handle the max 1000 requests limit

I am using the Bloomberg API in R (package Rblpapi) to find the nearby price at elevator locations for Soybean/Corn in given states in the US. I use the function lookupSecurity: ...
3
votes
1answer
90 views

How do energy companies measure the magnitude of the risks of buying energy at a variable price and selling it at a fixed price?

Power and gas retailers are exposed to a variety of risks when selling to domestic customers. Many of these risks arise from the fact that customers are offered a fixed price, while the retailer must ...
0
votes
0answers
47 views

Is it possible to borrow gold interest-free?

Is is possible to effectively borrow gold interest-free? It seems to be, at least for traders that can lend borrow currency at the risk-free interest rate (such as governments). That seems quite ...
1
vote
0answers
96 views

What is a good algorithm to predict volatility in metals commodity markets? [closed]

I'm trying to create a script to predict major swings in the price of Aluminium. I am trying to implement a dynamic time warping algorithm for the same. Was wondering if this really is the best ...
0
votes
1answer
60 views

Making an IB contract: Directory for IBpY exchanges and commodity codes?

All the tutorials for making a contract seem to use either Apple or Google as examples: goog_contract = create_contract('GOOG', 'STK', 'SMART', 'SMART', 'USD') If I want to trade CME Feeder Cattle ...
1
vote
1answer
100 views

Dual Settlement Market Backtesting and Analysis

An interesting problems I have been dealing with as a relatively new quant to the Electricity markets is the difficulty of back testing. The issues I have been having with backtesting are that the ...
1
vote
1answer
514 views

Why does a futures price converge to a spot price?

I've sort of get the arbitrage logic of it, i.e if the futures price is more expensive than spot price, then investors would short the contract and buy the asset for delivery. Correct me if i'm wrong. ...
4
votes
1answer
89 views

Investigating a question: “Does commodity price volatility scale with price level?”

I'm trying to answer a simply posed question using a GARCH model: can we expect larger price shocks in a commodity when it's price is higher? (i.e., may we expect larger price shocks at \$100 per ...
4
votes
2answers
173 views

Do underlying assets have a no-arbitrage price?

Can it be shown that the Fundamental Theorem on Asset Pricing (FTAP) applies to underlying assets -- namely bonds, equities, and commodities? FTAP says that assets have no-arbitrage prices equal to ...
5
votes
1answer
104 views

How to check if relationship between two variable changes over time?

I am working on a commodity-exchange rate model as part of my thesis. My dependent variable is log of first difference of exchange rate of Colombia and my independent variable is log of first ...
0
votes
0answers
75 views

Option valuation in illiquid markets

In my problem I have a liquid underlying, whose derivatives are not quoted and therefore the option market is illiquid. For this reason I can't get the implied volatilities and calibrate my model in ...
1
vote
0answers
426 views

Commodity index member weights (historical) for S&P GSCI and BCOM

Does anyone know a datasource for retrieving the historical index member weights for the two major commodity indices S&P GSCI and Bloomberg Commodity Index? My institution provides access to ...
1
vote
0answers
90 views

commodity futures options data

I am trying to get my hands on some historical commodity futures options data for about 35 commodity futures. So far in my search the only way I can get the data seems to be through the Commodity ...
2
votes
1answer
74 views

How to derive the prices of downstream products from raw commodity prices?

I am looking for a simple way to estimate price time series of downstream products based on price of the main "raw" commodity. For example, would like to estimate a price for wheat flour based on ...
1
vote
1answer
141 views

How do you define returns when price may be negative (electricity price)?

I'm trying to model GARCH volatility on electricity prices. Typically the first step is to use prices to obtain log returns to make them stationary. I have encountered a small problem however: ...
4
votes
2answers
1k views

Trading physical gold vs XAU

What is the difference between trading physical gold forwards and XAU/USD forwards? Why are both traded? The physical gold forward would obviously be settled physically, but how is an XAU/USD settled, ...
0
votes
0answers
116 views

Black's model and Monte Carlo

It is well know that one uses the Black 76 model to price commodity derivatives. I would however like to perform a Monte Carlo simulation that ties back to this number. How would one go about this ...
1
vote
0answers
45 views

References on Pricing commodity forwards

Any good reference on pricing simple forward contracts with source code? Thanks
3
votes
3answers
303 views

Is forward price trendless under the real-world measure?

I recently went through some commodities forward curve modeling documentations, where a diffusion model for the forward price $F(t,T)$ was modeled as a driftless diffusion process (as a function of t ...
1
vote
0answers
33 views

Simulating Asset Prices by Independently Simulating Supply and Demand

If I have an asset, whose supply is generally mean-reverting and whose demand is generally cyclical, could I somehow simulate / project the supply and demand levels across multiple discrete time ...
0
votes
1answer
147 views

How to Pull Dump of Old News Articles

My goal is to run a keyword search for phrases like "soybean acreage" or "corn yields" (keywords limited to ag. commodities), and construct a timeline of which dates articles with these key words are ...
2
votes
1answer
70 views

optimize gas storage schedule based on forward prices

I am solving some interviewing questions regarding gas storage optimization. I am given a gas storage facility with volume, rate of injection and withdrawal, as well as a current forward curve of gas ...
1
vote
0answers
190 views

Finding metal price data from LME

Does anyone know any sites that allows you to download free historical monthly metal (copper and aluminium) price data, the best would be LME data. I need historical spot prices, inventory, ...
2
votes
1answer
973 views

Delta of a Commodity Future

Generally the price of a future is $ F(t,T) = S(t)e^{r(T-t)}, $ and it's delta is: $ \frac{\partial F}{\partial S} = e^{r(T-t)}. $ (As opposed to the delta of a forward which is always one.) In ...
4
votes
1answer
241 views

QuantLib: Is the StochasticProcess class adapt for a HJM type of modelling?

I would like to use the following model in QuantLib: $\frac{dF(t,T)}{F(t,T)} = \sigma_se^{-\beta(T-t)}dW_{t}^{1} + \sigma_L\left(1-e^{-\beta(T-t)}\right)dW_{t}^{2}$ This is a reformulation of the ...
4
votes
2answers
296 views

How to trade a Ratio?

I came across a ratio plotting of Corn And Soybeans contracts, notice it's in a historical low, an intuitive question came to my mind, how should I trade this ratio (or relationship)? It's unlike flat ...